Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | NA | NA | NA |
| Score | NA | NA | NA |
| Market Cap (Millions USD) | NA | NA | NA |
| Predicted Beta | 0 | -0.01 | 0 |
| Idiosyncratic Volatility | 0.33 | 0.3 | 0.48 |
Annualized return and volatility
| CRSOX | |
|---|---|
| Annualized Return | -0.0298 |
| Annualized Std Dev | 0.1624 |
| Annualized Sharpe (Rf=0%) | -0.1835 |
Row
Daily Return Statistics
| CRSOX | |
|---|---|
| Observations | 3835.0000 |
| NAs | 1279.0000 |
| Minimum | -0.0638 |
| Quartile 1 | -0.0054 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0053 |
| Maximum | 0.0588 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0102 |
| Skewness | -0.2307 |
| Kurtosis | 3.4824 |
Downside Risk
| CRSOX | |
|---|---|
| Semi Deviation | 0.0074 |
| Gain Deviation | 0.0067 |
| Loss Deviation | 0.0074 |
| Downside Deviation (MAR=210%) | 0.0127 |
| Downside Deviation (Rf=0%) | 0.0074 |
| Downside Deviation (0%) | 0.0074 |
| Maximum Drawdown | 0.6871 |
| Historical VaR (95%) | -0.0162 |
| Historical ES (95%) | -0.0244 |
| Modified VaR (95%) | -0.0168 |
| Modified ES (95%) | -0.0273 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-07-03 | 2016-01-20 | NA | -0.6871 | 2940 | 1934 | NA |
| 2006-05-12 | 2006-10-03 | 2007-09-20 | -0.1517 | 348 | 102 | 246 |
| 2005-09-30 | 2006-03-08 | 2006-05-11 | -0.1438 | 157 | 111 | 46 |
| 2005-03-17 | 2005-05-19 | 2005-08-11 | -0.1135 | 104 | 46 | 58 |
| 2008-03-14 | 2008-03-20 | 2008-05-21 | -0.1041 | 48 | 5 | 43 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | CRSOX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.0 | NA |
| 2005 | -0.8 | -0.6 | 0.2 | 0.0 | 2.0 | 1.1 | 1.1 | 1.9 | 0.0 | -0.4 | 2.2 | 0.0 | 6.7 |
| 2006 | -1.3 | 0.0 | 0.0 | 1.4 | -0.9 | 0.0 | -0.3 | -0.9 | 0.0 | 0.4 | -0.3 | 0.0 | -2.1 |
| 2007 | -0.7 | -0.7 | 0.0 | -0.1 | 0.8 | 0.0 | -1.0 | 0.0 | -1.8 | -0.5 | 0.0 | 0.0 | -3.9 |
| 2008 | -1.1 | 0.0 | -0.9 | -2.1 | 0.0 | 0.9 | -0.4 | 0.0 | -0.3 | 0.0 | -4.4 | 0.0 | -8.0 |
| 2009 | 0.0 | 0.0 | -1.0 | 3.2 | 3.1 | 1.0 | 0.0 | -1.7 | -1.7 | 0.0 | 0.8 | 0.0 | 3.6 |
| 2010 | 1.3 | -0.5 | 1.3 | 0.0 | -1.0 | -0.9 | 0.0 | 1.2 | -0.8 | 0.1 | 2.6 | 0.0 | 3.3 |
| 2011 | 2.0 | 0.6 | -0.1 | 0.0 | -0.9 | -0.7 | -0.2 | -0.9 | 0.0 | -1.5 | -0.1 | 0.0 | -1.8 |
| 2012 | 0.0 | 0.3 | 0.0 | 0.1 | -1.3 | 0.0 | -0.6 | 0.0 | 0.4 | 0.4 | 0.0 | 0.0 | -0.8 |
| 2013 | 0.4 | -0.6 | -0.5 | -1.7 | 0.0 | 0.8 | 0.0 | 0.0 | -0.7 | -1.0 | 0.0 | 0.0 | -3.3 |
| 2014 | 0.0 | 0.0 | -0.5 | -1.0 | 0.0 | -0.1 | -0.7 | 0.0 | -0.1 | 0.0 | 1.7 | 0.0 | -0.8 |
| 2015 | 0.0 | 0.0 | 1.8 | -0.3 | 0.2 | -1.0 | 0.0 | -2.5 | -0.8 | 0.0 | 0.6 | 0.0 | -2.1 |
| 2016 | -1.6 | 0.2 | -1.1 | 0.0 | 0.6 | 1.0 | -1.6 | -0.6 | 0.0 | -0.4 | 1.2 | 0.0 | -2.3 |
| 2017 | 1.2 | 0.8 | 0.0 | 0.2 | -0.2 | 0.0 | -1.0 | 0.4 | 0.0 | 0.4 | 0.8 | 0.0 | 2.6 |
| 2018 | 0.0 | 0.2 | 0.0 | -0.2 | -0.2 | 0.0 | -1.4 | 0.0 | 1.4 | 0.4 | 0.0 | 0.0 | 0.2 |
| 2019 | 0.4 | -0.6 | 0.6 | -0.2 | 0.0 | -0.9 | -2.4 | 0.0 | 0.2 | 1.3 | 0.0 | 0.7 | -0.9 |
Row
Rolling Performance Chart
Snail Trail Chart
